Probabilistic Numerical Computation: A New Concept?

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• Professor Mark Girolami, University of Warwick
• Thursday 17 November 2016, 11:00-12:00
• CBL Room BE-438, Department of Engineering.

If you have a question about this talk, please contact Louise Segar.

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Abstract: Ambitious mathematical models of highly complex natural phenomena are challenging to analyse, and more and more computationally expensive to evaluate. This is a particularly acute problem for many tasks of interest and numerical methods will tend to be slow, due to the complexity of the models, and potentially lead to sub-optimal solutions with high levels of uncertainty which needs to be accounted for and subsequently propagated in the statistical reasoning process. This talk will introduce our contributions to an emerging area of research defining a nexus of applied mathematics, statistical science and computer science, called “probabilistic numerics”. The aim is to consider numerical problems from a statistical viewpoint, and as such provide numerical methods for which numerical error can be quantified and controlled in a probabilistic manner. This philosophy will be illustrated on problems ranging from predictive policing via crime modelling to computer vision, where probabilistic numerical methods provide a rich and essential quantification of the uncertainty associated with such models and their computation.

Bio: After graduation from the University of Glasgow, Mark Girolami spent the first ten years of his career with IBM as an Engineer. After this he undertook a PhD in Statistical Signal Processing. He then went on rapidly to hold senior professorial positions at the University of Glasgow, and University College London. He is an EPSRC Established Career Research Fellow (2012 – 2017) and previously an EPSRC Advanced Research Fellow (2007 – 2012). He is the Director of the EPSRC funded Research Network on Computational Statistics and Machine Learning and in 2011, was elected to the Fellowship of the Royal Society of Edinburgh, when he was also awarded a Royal Society Wolfson Research Merit Award. He has been nominated by the Institute of Mathematical Statistics to deliver a Medallion Lecture at the Joint Statistical Meeting in 2017. He is currently one of the founding Executive Directors of the Alan Turing Institute for Data Science. His research and that of his group covers the development of advanced novel statistical methodology driven by applications in the life, clinical, physical, chemical, engineering and ecological sciences. He also works closely with industry where he has several patents leading from his work on e.g. activity profiling in telecommunications networks and developing statistical techniques for the machine based identification of counterfeit currency which is now an established technology used in current Automated Teller Machines. At present he works as a consultant for the Global Forecasting Team at Amazon in Seattle.

This talk is part of the Machine Learning @ CUED series.

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